Evidence of Carry Trade Activity

15 Pages Posted: 28 Jun 2012 Last revised: 29 Sep 2013

Alexandra Heath

Reserve Bank of Australia - Economic Research

Gabriele Galati

De Nederlandsche Bank

Patrick McGuire

Bank for International Settlements (BIS)

Date Written: September 1, 2007

Abstract

Interest rate differentials have been a driving force behind exchange rate movements in recent years. This has focused market attention on the role of currency carry trade positions, and on the possibility that a sudden unwinding might adversely affect financial stability. However, carry trades are notoriously difficult to track in the available data. This special feature first outlines the investor base and trading strategies used in carry trades, and then explores various sources of data to gauge activity.

Keywords: carry trade, BIS banking statistics

JEL Classification: F31, F32, G15

Suggested Citation

Heath, Alexandra and Galati, Gabriele and McGuire, Patrick, Evidence of Carry Trade Activity (September 1, 2007). BIS Quarterly Review, September 2007. Available at SSRN: https://ssrn.com/abstract=1490984

Alexandra Heath

Reserve Bank of Australia - Economic Research ( email )

GPO Box 3947
Sydney, NSW 2001
Australia

Gabriele Galati

De Nederlandsche Bank ( email )

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

Patrick M. McGuire (Contact Author)

Bank for International Settlements (BIS) ( email )

CH-4002 Basel, Basel-Stadt
Switzerland

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